Kellard, Neil M.; Nankervis, John C.; Papadimitriou, … - In: Journal of Empirical Finance 17 (2010) 4, pp. 539-551
This paper evaluates the ability of dividend ratios to predict the equity premium. We conduct an in and out-of-sample comparative study and apply the Goyal and Welch (2003) graphical method to equity premia derived from the UK FTSE All-Share and the S&P 500 indices. Preliminary in-sample...